Weighted least squares (WLS) with wls0 and regwls

[Le Chi]

Dear Statalist,
I am conducting a long-run event study with the use of the Fama French 3 Factors model.
I am using the WLS regression, I want to use the monthly number of firms in the event portfolio as weights. Moreover, I want to use the equal-weighted monthly returns on each portfolio.
First of all, I uploaded the excel file and changed the format of the Date2 from string to Date3 variable (monthly format), then I declared the data set to be time series data.

I intend to use the Stata command wlsreg or wls0 with the options: wvar = No. of firms in the event portfolio in a month type(wlstype) - The choices are: abse - absolute value of residual e2 (With the dependent variable is the company name, explanatory variables are MktRF, SMB, and HML.
Could anyone please help me with the Stata command for WLS regression? I am very grateful.

Thank you and Kind regards,
Chi

[Phil Bromiley]

You'll increase the chances of a helpful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex. Including pictures and files is not encouraged - there is no way we could work with your data without retyping the entire set which I doubt if anyone would do.

If you had bothered to look at the subject index what comes with the Stata documentation, you would have found:
weighted least squares, [R] regress, [SEM] methods
and formulas for sem, [SEM] Glossary
generalized linear models, [R] binreg, [R] glm
generalized method of moments estimation,
[R] gmm, [R] ivpoisson
instrumental-variables regression, [R] gmm,
[R] ivregress
nonlinear least-squares estimation, [R] nl
nonlinear systems of equations, [R] nlsur
variance, [R] vwls

While many Stata procedures allow weights, simple weighted regression is done with regress.